This is a double blind, placebo-controlled clinical trial of the antidepressant effect of DHEA among HIV+ individuals. Secondary goals will include determination of whether DHEA has anabolic effects or androgenic effects on enrolled subjects. The investigators will consider the basic endocrinology of adrenal steroid metabolism in the subjects, and propose to assess the effects of DHEA on immune status and viral activity with regard to the safety of the use of DHEA in HIV infected individuals. The study is an eight week double blind controlled trial of oral DHEA vs. placebo with an eight week maintenance phase for drug responders, and 16 weeks of open treatment offered to placebo non-responders (after the eight week double blind trial). They propose a 1:1 randomization and predict that 114 enrolled individuals will complete the eight week trial. If DHEA ameliorates depressive symptoms, as well as increasing libido and reducing loss of muscle mass, then the investigators will have identified an intervention with a broad spectrum of action suitable for both men and women with HIV infection, that is practical, inexpensive, and accessible. With regard to the endocrine studies, the investigators will assess precursors and metabolites of DHEA before and after oral administration of the compound, and examine effects of cortisol, triglycerides, insulin, cholesterol, growth hormone, IGF-1, and IGF-1 binding proteins. Tests will be administered at study baseline, weeks 4 and 8, including standard dose ACTH, low dose ACTH, CRF, and GNRH stimulation tests to assess the hypothalamic-pituitary-adrenal and hypothalamic-pituitary gonadal function before and after DHEA administration. This will permit the investigators to assess potential underlying mechanisms for the putative therapeutic effects of DHEA on mood, libido, and body composition.